Yifeng Zhu

School of Finance, Central University of Finance and Economics

39 South College Road

Haidian District

Beijing, Beijing 100081

China

SCHOLARLY PAPERS

9

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SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

Stock Return Asymmetry: Beyond Skewness

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu
Tsinghua University, Renmin University of China, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,195 (18,259)
Citation 2

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Stock return asymmetry, entropy, asset pricing

2.

Crude Oil Price Prediction: A Nonparametric Approach

26th Australasian Finance and Banking Conference 2013
Number of pages: 57 Posted: 23 Jul 2013 Last Revised: 15 Mar 2016
Yifeng Zhu
School of Finance, Central University of Finance and Economics
Downloads 223 (148,667)

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Crude oil price, nonparametric, forecast, random walk, entropy measure, stochastic dominance

3.

Idiosyncratic Skewness of Commodity Futures Returns

Number of pages: 36 Posted: 07 Jun 2019 Last Revised: 28 May 2020
Yufeng Han, Xuan Mo, Zhi Su and Yifeng Zhu
University of North Carolina (UNC) at Charlotte - Finance, Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics
Downloads 135 (230,347)
Citation 1

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Idiosyncratic skewness; Cross section; Commodity futures returns; IE

4.

Value at Risk, Cross-Sectional Returns and the Role of Investor Sentiment

Journal of Empirical Finance, Vol. 56, 2020
Number of pages: 49 Posted: 06 Nov 2018 Last Revised: 07 Jan 2020
Jia Bi and Yifeng Zhu
School of Finance, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics
Downloads 107 (275,302)
Citation 1

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value-at-risk, investor sentiment, cross-section analysis

5.

Lottery Preference and Anomalies

Number of pages: 78 Posted: 04 Jun 2020 Last Revised: 08 Jun 2020
Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu
Tsinghua University, Georgetown University - Department of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 94 (298,086)

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Lottery preference factor, anomalies, asset pricing

6.

The Wage Premium of Naturalized Citizenship

Advances in Econometrics, 36:315-348, 2016.
Number of pages: 43 Posted: 12 Jun 2015 Last Revised: 06 Sep 2019
Esfandiar Maasoumi and Yifeng Zhu
Emory University and School of Finance, Central University of Finance and Economics
Downloads 52 (411,350)

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Earning gap, citizenship, Stochastic Dominance tests, RIF regression, entropy measure

7.

Liquidity in Cryptocurrency Market and Commonalities across Anomalies

Number of pages: 29 Posted: 23 Apr 2020 Last Revised: 07 May 2020
Bingbing Dong, Lei Jiang, Jinyu Liu and Yifeng Zhu
Central University of Finance and Economics (CUFE), Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance and School of Finance, Central University of Finance and Economics
Downloads 32 (493,634)

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Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies

8.

Value at Risk and the Cross-Section of Expected Returns: Evidence from China

Number of pages: 60 Posted: 27 May 2020 Last Revised: 01 Jun 2020
Pingshu Gui and Yifeng Zhu
Graduate School of Chinese Academy of Social Sciences - Institute of World Economics & Politics and School of Finance, Central University of Finance and Economics
Downloads 19 (568,694)

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Value-at-Risk, cross-sectional relation, equity returns, consumer confidence

9.

Margin Trading and Stock Idiosyncratic Volatility: Evidence from the Chinese Stock Market

Number of pages: 37 Posted: 12 Oct 2018
Pingshu Gui and Yifeng Zhu
Graduate School of Chinese Academy of Social Sciences - Institute of World Economics & Politics and School of Finance, Central University of Finance and Economics
Downloads 39

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Idiosyncratic volatility; Margin trading; Short sale constraint; Heterogeneous beliefs; Gaming behavior.